The relevance of currency risk in the EMU
By G. Santis, Bruno Gérard, Pierre Hillion. 2003
119 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b1d22726a87f2d17f46a7be6894c9284b07f0db7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Duc Khuong Nguyen
- Mohamed Arouri
- R. A. Santis
- G. Hale
- Bruno Gérard
- M. Obstfeld
- George Filis
- Perry Sadorsky
In Finance
- Duc Khuong Nguyen
- Mohamed Arouri
- R. A. Santis
- M. Obstfeld
- G. Hale
- Bruno Gérard
- Perry Sadorsky
- George Filis
Citations in the corpus
- The Euro and the Geography of International Debt Flows (2014, background): “…Buch (2007), Lane and Milesi-Ferretti (2007), Spiegel (2009a), and Pels (2010) for the evidence on increased gross flows within the euro area and De Santis et al. (2003), Coeurdacier and Martin (2009), De Santis and Gerard (2009), Spiegel (2009b), and Kalemli-Ozcan et al. (2010) for the…”
- Financial Integration, International Portfolio Choice and the European Monetary Union (2006, methodology): “…of volatility and correlations, we estimate the covariance matrix using the exponentially weighted moving average (EWMA) procedure advocated by De Santis et al (2003) adjusting for serial correlation at lag 1 and using decay parameters of 0.98 at the weekly frequency for variance estimation and…”
- Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade (2010, background): “Moreover, recent papers show that exchange rate risk is internationally priced (De Santis et al. , 2003 and references therein).”